You can modify most camera settings except ISO (including if you did not set anything!) on a lossless basis even with free View NX2 and modify many locally and quickly (especially compared to some Photoshop layers stages) on a lossless basis in Capture.
You can go back and make further edits of the NEF on a lossless basis any time.
I think it fair to say for many common edits Capture can have an advantage.

There are many things Capture does not do - which is why exporting a modified NEF as a tiff to something else is one way to go.

Well, that's not entirely accurate.

Sure, basic items are retained in some RAW converters but, it's more complex than that.

For instance, if one has made in-camera adjustments to picture controls or loaded a custom picture control, when I last checked, there was no RAW converter other than NX2 that would preserve those settings. If you then have added additional adjustments in-cam, those adjustments taken in their entirety, will not be preserved outside of NX2.